Python 56.2%
TeX 43.7%
1% ============================================================================2% References — UQO WP 8 (revised 2026-10-17; every entry verified via Crossref3% or the publisher page, DOIs recorded; see docs/CHANGELOG-REVISION.md)4% ============================================================================56% ---------------------------------------------------------------- theory ----7@article{arrow1964role,8 author = {Arrow, Kenneth J.},9 title = {The Role of Securities in the Optimal Allocation of Risk-Bearing},10 journal = {Review of Economic Studies},11 volume = {31},12 number = {2},13 pages = {91--96},14 year = {1964},15 doi = {10.2307/2296188}16}1718@book{debreu1959theory,19 author = {Debreu, Gerard},20 title = {Theory of Value: An Axiomatic Analysis of Economic Equilibrium},21 publisher = {Yale University Press},22 address = {New Haven},23 year = {1959}24}2526@article{ross1976arbitrage,27 author = {Ross, Stephen A.},28 title = {The Arbitrage Theory of Capital Asset Pricing},29 journal = {Journal of Economic Theory},30 volume = {13},31 number = {3},32 pages = {341--360},33 year = {1976},34 doi = {10.1016/0022-0531(76)90046-6}35}3637@book{cochrane2005asset,38 author = {Cochrane, John H.},39 title = {Asset Pricing},40 edition = {Revised},41 publisher = {Princeton University Press},42 address = {Princeton},43 year = {2005}44}4546@article{hayek1945use,47 author = {Hayek, Friedrich A.},48 title = {The Use of Knowledge in Society},49 journal = {American Economic Review},50 volume = {35},51 number = {4},52 pages = {519--530},53 year = {1945}54}5556@article{fama1970efficient,57 author = {Fama, Eugene F.},58 title = {Efficient Capital Markets: A Review of Theory and Empirical Work},59 journal = {Journal of Finance},60 volume = {25},61 number = {2},62 pages = {383--417},63 year = {1970},64 doi = {10.2307/2325486}65}6667@article{grossman1980impossibility,68 author = {Grossman, Sanford J. and Stiglitz, Joseph E.},69 title = {On the Impossibility of Informationally Efficient Markets},70 journal = {American Economic Review},71 volume = {70},72 number = {3},73 pages = {393--408},74 year = {1980}75}7677% ---------------------------------------------------- prediction markets ----78@article{wolfers2004prediction,79 author = {Wolfers, Justin and Zitzewitz, Eric},80 title = {Prediction Markets},81 journal = {Journal of Economic Perspectives},82 volume = {18},83 number = {2},84 pages = {107--126},85 year = {2004},86 doi = {10.1257/0895330041371321}87}8889@techreport{wolfers2006theory,90 author = {Wolfers, Justin and Zitzewitz, Eric},91 title = {Prediction Markets in Theory and Practice},92 institution = {National Bureau of Economic Research},93 type = {NBER Working Paper},94 number = {12083},95 year = {2006},96 doi = {10.3386/w12083}97}9899@techreport{wolfers2006interpreting,100 author = {Wolfers, Justin and Zitzewitz, Eric},101 title = {Interpreting Prediction Market Prices as Probabilities},102 institution = {National Bureau of Economic Research},103 type = {NBER Working Paper},104 number = {12200},105 year = {2006},106 doi = {10.3386/w12200}107}108109@article{manski2006interpreting,110 author = {Manski, Charles F.},111 title = {Interpreting the Predictions of Prediction Markets},112 journal = {Economics Letters},113 volume = {91},114 number = {3},115 pages = {425--429},116 year = {2006},117 doi = {10.1016/j.econlet.2006.01.004}118}119120@incollection{snowberg2013prediction,121 author = {Snowberg, Erik and Wolfers, Justin and Zitzewitz, Eric},122 title = {Prediction Markets for Economic Forecasting},123 booktitle = {Handbook of Economic Forecasting},124 editor = {Elliott, Graham and Timmermann, Allan},125 volume = {2A},126 pages = {657--687},127 publisher = {Elsevier},128 address = {Amsterdam},129 year = {2013},130 doi = {10.1016/B978-0-444-53683-9.00011-6}131}132133@article{snowberg2007partisan,134 author = {Snowberg, Erik and Wolfers, Justin and Zitzewitz, Eric},135 title = {Partisan Impacts on the Economy: Evidence from Prediction Markets and Close Elections},136 journal = {Quarterly Journal of Economics},137 volume = {122},138 number = {2},139 pages = {807--829},140 year = {2007},141 doi = {10.1162/qjec.122.2.807}142}143144@article{arrow2008promise,145 author = {Arrow, Kenneth J. and Forsythe, Robert and Gorham, Michael and Hahn, Robert and Hanson, Robin and Ledyard, John O. and Levmore, Saul and Litan, Robert and Milgrom, Paul and Nelson, Forrest D. and Neumann, George R. and Ottaviani, Marco and Schelling, Thomas C. and Shiller, Robert J. and Smith, Vernon L. and Snowberg, Erik and Sunstein, Cass R. and Tetlock, Paul C. and Tetlock, Philip E. and Varian, Hal R. and Wolfers, Justin and Zitzewitz, Eric},146 title = {The Promise of Prediction Markets},147 journal = {Science},148 volume = {320},149 number = {5878},150 pages = {877--878},151 year = {2008},152 doi = {10.1126/science.1157679}153}154155@article{berg2008results,156 author = {Berg, Joyce E. and Nelson, Forrest D. and Rietz, Thomas A.},157 title = {Prediction Market Accuracy in the Long Run},158 journal = {International Journal of Forecasting},159 volume = {24},160 number = {2},161 pages = {285--300},162 year = {2008},163 doi = {10.1016/j.ijforecast.2008.03.007}164}165166@article{page2013calibrated,167 author = {Page, Lionel and Clemen, Robert T.},168 title = {Do Prediction Markets Produce Well-Calibrated Probability Forecasts?},169 journal = {Economic Journal},170 volume = {123},171 number = {568},172 pages = {491--513},173 year = {2013},174 doi = {10.1111/j.1468-0297.2012.02561.x}175}176177@article{rothschild2009forecasting,178 author = {Rothschild, David},179 title = {Forecasting Elections: Comparing Prediction Markets, Polls, and Their Biases},180 journal = {Public Opinion Quarterly},181 volume = {73},182 number = {5},183 pages = {895--916},184 year = {2009},185 doi = {10.1093/poq/nfp082}186}187188@article{rhode2004historical,189 author = {Rhode, Paul W. and Strumpf, Koleman S.},190 title = {Historical Presidential Betting Markets},191 journal = {Journal of Economic Perspectives},192 volume = {18},193 number = {2},194 pages = {127--142},195 year = {2004},196 doi = {10.1257/0895330041371277}197}198199@article{ottaviani2015price,200 author = {Ottaviani, Marco and S{\o}rensen, Peter Norman},201 title = {Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal},202 journal = {American Economic Review},203 volume = {105},204 number = {1},205 pages = {1--34},206 year = {2015},207 doi = {10.1257/aer.20120881}208}209210@article{hanson2003combinatorial,211 author = {Hanson, Robin},212 title = {Combinatorial Information Market Design},213 journal = {Information Systems Frontiers},214 volume = {5},215 number = {1},216 pages = {107--119},217 year = {2003},218 doi = {10.1023/A:1022058209073}219}220221@article{hanson2006manipulation,222 author = {Hanson, Robin and Oprea, Ryan and Porter, David},223 title = {Information Aggregation and Manipulation in an Experimental Market},224 journal = {Journal of Economic Behavior \& Organization},225 volume = {60},226 number = {4},227 pages = {449--459},228 year = {2006},229 doi = {10.1016/j.jebo.2004.09.011}230}231232@techreport{tetlock2008liquidity,233 author = {Tetlock, Paul C.},234 title = {Liquidity and Prediction Market Efficiency},235 institution = {SSRN},236 type = {Working Paper},237 year = {2008},238 doi = {10.2139/ssrn.929916}239}240241@article{croxson2014information,242 author = {Croxson, Karen and Reade, J. James},243 title = {Information and Efficiency: Goal Arrival in Soccer Betting},244 journal = {Economic Journal},245 volume = {124},246 number = {575},247 pages = {62--91},248 year = {2014},249 doi = {10.1111/ecoj.12033}250}251252@techreport{ng2025price,253 author = {Ng, Hunter and Peng, Lin and Tao, Yubo and Zhou, Dexin},254 title = {Price Discovery and Trading in Modern Prediction Markets},255 institution = {SSRN},256 type = {Working Paper},257 number = {5331995},258 year = {2025},259 doi = {10.2139/ssrn.5331995}260}261262@techreport{chernov2025comovement,263 author = {Chernov, Mikhail and Elenev, Vadim and Song, Dongho},264 title = {The Comovement of Voter Preferences: Insights from {U.S.} Presidential Election Prediction Markets Beyond Polls},265 institution = {National Bureau of Economic Research},266 type = {NBER Working Paper},267 number = {33339},268 year = {2025},269 doi = {10.3386/w33339}270}271272@techreport{reichenbach2025exploring,273 author = {Reichenbach, Felix and Walther, Martin},274 title = {Exploring Decentralized Prediction Markets: Accuracy, Skill, and Bias on {Polymarket}},275 institution = {SSRN},276 type = {Working Paper},277 number = {5910522},278 year = {2025},279 doi = {10.2139/ssrn.5910522}280}281282% ------------------------------------------- monetary policy announcements ----283@article{kuttner2001monetary,284 author = {Kuttner, Kenneth N.},285 title = {Monetary Policy Surprises and Interest Rates: Evidence from the {Fed} Funds Futures Market},286 journal = {Journal of Monetary Economics},287 volume = {47},288 number = {3},289 pages = {523--544},290 year = {2001},291 doi = {10.1016/S0304-3932(01)00055-1}292}293294@article{gurkaynak2005actions,295 author = {G{\"u}rkaynak, Refet S. and Sack, Brian and Swanson, Eric T.},296 title = {Do Actions Speak Louder Than Words? {The} Response of Asset Prices to Monetary Policy Actions and Statements},297 journal = {International Journal of Central Banking},298 volume = {1},299 number = {1},300 pages = {55--93},301 year = {2005}302}303304@article{bernanke2005explains,305 author = {Bernanke, Ben S. and Kuttner, Kenneth N.},306 title = {What Explains the Stock Market's Reaction to {Federal Reserve} Policy?},307 journal = {Journal of Finance},308 volume = {60},309 number = {3},310 pages = {1221--1257},311 year = {2005},312 doi = {10.1111/j.1540-6261.2005.00760.x}313}314315@article{piazzesi2008futures,316 author = {Piazzesi, Monika and Swanson, Eric T.},317 title = {Futures Prices as Risk-Adjusted Forecasts of Monetary Policy},318 journal = {Journal of Monetary Economics},319 volume = {55},320 number = {4},321 pages = {677--691},322 year = {2008},323 doi = {10.1016/j.jmoneco.2008.04.003}324}325326@article{nakamura2018high,327 author = {Nakamura, Emi and Steinsson, J{\'o}n},328 title = {High-Frequency Identification of Monetary Non-Neutrality: The Information Effect},329 journal = {Quarterly Journal of Economics},330 volume = {133},331 number = {3},332 pages = {1283--1330},333 year = {2018},334 doi = {10.1093/qje/qjy004}335}336337@article{rigobon2004impact,338 author = {Rigobon, Roberto and Sack, Brian},339 title = {The Impact of Monetary Policy on Asset Prices},340 journal = {Journal of Monetary Economics},341 volume = {51},342 number = {8},343 pages = {1553--1575},344 year = {2004},345 doi = {10.1016/j.jmoneco.2004.02.004}346}347348@article{ederington1993markets,349 author = {Ederington, Louis H. and Lee, Jae Ha},350 title = {How Markets Process Information: News Releases and Volatility},351 journal = {Journal of Finance},352 volume = {48},353 number = {4},354 pages = {1161--1191},355 year = {1993},356 doi = {10.1111/j.1540-6261.1993.tb04750.x}357}358359@article{andersen2003micro,360 author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Vega, Clara},361 title = {Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},362 journal = {American Economic Review},363 volume = {93},364 number = {1},365 pages = {38--62},366 year = {2003},367 doi = {10.1257/000282803321455151}368}369370@article{french1986stock,371 author = {French, Kenneth R. and Roll, Richard},372 title = {Stock Return Variances: The Arrival of Information and the Reaction of Traders},373 journal = {Journal of Financial Economics},374 volume = {17},375 number = {1},376 pages = {5--26},377 year = {1986},378 doi = {10.1016/0304-405X(86)90004-8}379}380381% ----------------------------------------------- microstructure, discovery ----382@article{hasbrouck1995one,383 author = {Hasbrouck, Joel},384 title = {One Security, Many Markets: Determining the Contributions to Price Discovery},385 journal = {Journal of Finance},386 volume = {50},387 number = {4},388 pages = {1175--1199},389 year = {1995},390 doi = {10.1111/j.1540-6261.1995.tb04054.x}391}392393@article{hasbrouck2003intraday,394 author = {Hasbrouck, Joel},395 title = {Intraday Price Formation in {U.S.} Equity Index Markets},396 journal = {Journal of Finance},397 volume = {58},398 number = {6},399 pages = {2375--2400},400 year = {2003},401 doi = {10.1046/j.1540-6261.2003.00609.x}402}403404@article{gonzalo1995estimation,405 author = {Gonzalo, Jes{\'u}s and Granger, Clive W. J.},406 title = {Estimation of Common Long-Memory Components in Cointegrated Systems},407 journal = {Journal of Business \& Economic Statistics},408 volume = {13},409 number = {1},410 pages = {27--35},411 year = {1995},412 doi = {10.1080/07350015.1995.10524576}413}414415@article{baillie2002price,416 author = {Baillie, Richard T. and Booth, G. Geoffrey and Tse, Yiuman and Zabotina, Tatyana},417 title = {Price Discovery and Common Factor Models},418 journal = {Journal of Financial Markets},419 volume = {5},420 number = {3},421 pages = {309--321},422 year = {2002},423 doi = {10.1016/S1386-4181(02)00027-7}424}425426@article{yan2010structural,427 author = {Yan, Bingcheng and Zivot, Eric},428 title = {A Structural Analysis of Price Discovery Measures},429 journal = {Journal of Financial Markets},430 volume = {13},431 number = {1},432 pages = {1--19},433 year = {2010},434 doi = {10.1016/j.finmar.2009.09.003}435}436437@book{ohara1995market,438 author = {O'Hara, Maureen},439 title = {Market Microstructure Theory},440 publisher = {Blackwell},441 address = {Cambridge, MA},442 year = {1995}443}444445@article{madhavan2000market,446 author = {Madhavan, Ananth},447 title = {Market Microstructure: A Survey},448 journal = {Journal of Financial Markets},449 volume = {3},450 number = {3},451 pages = {205--258},452 year = {2000},453 doi = {10.1016/S1386-4181(00)00007-0}454}455456@article{kyle1985continuous,457 author = {Kyle, Albert S.},458 title = {Continuous Auctions and Insider Trading},459 journal = {Econometrica},460 volume = {53},461 number = {6},462 pages = {1315--1335},463 year = {1985},464 doi = {10.2307/1913210}465}466467@article{glosten1985bid,468 author = {Glosten, Lawrence R. and Milgrom, Paul R.},469 title = {Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders},470 journal = {Journal of Financial Economics},471 volume = {14},472 number = {1},473 pages = {71--100},474 year = {1985},475 doi = {10.1016/0304-405X(85)90044-3}476}477478@article{roll1984simple,479 author = {Roll, Richard},480 title = {A Simple Implicit Measure of the Effective Bid--Ask Spread in an Efficient Market},481 journal = {Journal of Finance},482 volume = {39},483 number = {4},484 pages = {1127--1139},485 year = {1984},486 doi = {10.1111/j.1540-6261.1984.tb03897.x}487}488489@article{amihud2002illiquidity,490 author = {Amihud, Yakov},491 title = {Illiquidity and Stock Returns: Cross-Section and Time-Series Effects},492 journal = {Journal of Financial Markets},493 volume = {5},494 number = {1},495 pages = {31--56},496 year = {2002},497 doi = {10.1016/S1386-4181(01)00024-6}498}499500@article{mackinlay1997event,501 author = {MacKinlay, A. Craig},502 title = {Event Studies in Economics and Finance},503 journal = {Journal of Economic Literature},504 volume = {35},505 number = {1},506 pages = {13--39},507 year = {1997}508}509510% ------------------------------------------------------- crypto / DeFi ----511@book{harvey2021defi,512 author = {Harvey, Campbell R. and Ramachandran, Ashwin and Santoro, Joey},513 title = {{DeFi} and the Future of Finance},514 publisher = {John Wiley \& Sons},515 address = {Hoboken},516 year = {2021}517}518519@article{makarov2020trading,520 author = {Makarov, Igor and Schoar, Antoinette},521 title = {Trading and Arbitrage in Cryptocurrency Markets},522 journal = {Journal of Financial Economics},523 volume = {135},524 number = {2},525 pages = {293--319},526 year = {2020},527 doi = {10.1016/j.jfineco.2019.07.001}528}529530@article{cong2023wash,531 author = {Cong, Lin William and Li, Xi and Tang, Ke and Yang, Yang},532 title = {Crypto Wash Trading},533 journal = {Management Science},534 volume = {69},535 number = {11},536 pages = {6427--6454},537 year = {2023},538 doi = {10.1287/mnsc.2021.02709}539}540541% ------------------------------------------------------------ econometrics ----542@article{engle1982autoregressive,543 author = {Engle, Robert F.},544 title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of {United Kingdom} Inflation},545 journal = {Econometrica},546 volume = {50},547 number = {4},548 pages = {987--1007},549 year = {1982},550 doi = {10.2307/1912773}551}552553@article{bollerslev1986generalized,554 author = {Bollerslev, Tim},555 title = {Generalized Autoregressive Conditional Heteroskedasticity},556 journal = {Journal of Econometrics},557 volume = {31},558 number = {3},559 pages = {307--327},560 year = {1986},561 doi = {10.1016/0304-4076(86)90063-1}562}563564@article{glosten1993relation,565 author = {Glosten, Lawrence R. and Jagannathan, Ravi and Runkle, David E.},566 title = {On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks},567 journal = {Journal of Finance},568 volume = {48},569 number = {5},570 pages = {1779--1801},571 year = {1993},572 doi = {10.1111/j.1540-6261.1993.tb05128.x}573}574575@article{nelson1991conditional,576 author = {Nelson, Daniel B.},577 title = {Conditional Heteroskedasticity in Asset Returns: A New Approach},578 journal = {Econometrica},579 volume = {59},580 number = {2},581 pages = {347--370},582 year = {1991},583 doi = {10.2307/2938260}584}585586@article{corsi2009simple,587 author = {Corsi, Fulvio},588 title = {A Simple Approximate Long-Memory Model of Realized Volatility},589 journal = {Journal of Financial Econometrics},590 volume = {7},591 number = {2},592 pages = {174--196},593 year = {2009},594 doi = {10.1093/jjfinec/nbp001}595}596597@article{andersen2001distribution,598 author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},599 title = {The Distribution of Realized Exchange Rate Volatility},600 journal = {Journal of the American Statistical Association},601 volume = {96},602 number = {453},603 pages = {42--55},604 year = {2001},605 doi = {10.1198/016214501750332965}606}607608@article{andersen2003modeling,609 author = {Andersen, Torben G. and Bollerslev, Tim and Diebold, Francis X. and Labys, Paul},610 title = {Modeling and Forecasting Realized Volatility},611 journal = {Econometrica},612 volume = {71},613 number = {2},614 pages = {579--625},615 year = {2003},616 doi = {10.1111/1468-0262.00418}617}618619@article{granger1969investigating,620 author = {Granger, Clive W. J.},621 title = {Investigating Causal Relations by Econometric Models and Cross-Spectral Methods},622 journal = {Econometrica},623 volume = {37},624 number = {3},625 pages = {424--438},626 year = {1969},627 doi = {10.2307/1912791}628}629630@article{sims1980macroeconomics,631 author = {Sims, Christopher A.},632 title = {Macroeconomics and Reality},633 journal = {Econometrica},634 volume = {48},635 number = {1},636 pages = {1--48},637 year = {1980},638 doi = {10.2307/1912017}639}640641@book{lutkepohl2005new,642 author = {L{\"u}tkepohl, Helmut},643 title = {New Introduction to Multiple Time Series Analysis},644 publisher = {Springer},645 address = {Berlin},646 year = {2005},647 doi = {10.1007/978-3-540-27752-1}648}649650@article{dickey1979distribution,651 author = {Dickey, David A. and Fuller, Wayne A.},652 title = {Distribution of the Estimators for Autoregressive Time Series with a Unit Root},653 journal = {Journal of the American Statistical Association},654 volume = {74},655 number = {366},656 pages = {427--431},657 year = {1979},658 doi = {10.1080/01621459.1979.10482531}659}660661@article{jarque1980efficient,662 author = {Jarque, Carlos M. and Bera, Anil K.},663 title = {Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals},664 journal = {Economics Letters},665 volume = {6},666 number = {3},667 pages = {255--259},668 year = {1980},669 doi = {10.1016/0165-1765(80)90024-5}670}671672@article{newey1987simple,673 author = {Newey, Whitney K. and West, Kenneth D.},674 title = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},675 journal = {Econometrica},676 volume = {55},677 number = {3},678 pages = {703--708},679 year = {1987},680 doi = {10.2307/1913610}681}682683@article{white1980heteroskedasticity,684 author = {White, Halbert},685 title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity},686 journal = {Econometrica},687 volume = {48},688 number = {4},689 pages = {817--838},690 year = {1980},691 doi = {10.2307/1912934}692}693694@article{akaike1974new,695 author = {Akaike, Hirotugu},696 title = {A New Look at the Statistical Model Identification},697 journal = {IEEE Transactions on Automatic Control},698 volume = {19},699 number = {6},700 pages = {716--723},701 year = {1974},702 doi = {10.1109/TAC.1974.1100705}703}704705@article{schwarz1978estimating,706 author = {Schwarz, Gideon},707 title = {Estimating the Dimension of a Model},708 journal = {Annals of Statistics},709 volume = {6},710 number = {2},711 pages = {461--464},712 year = {1978},713 doi = {10.1214/aos/1176344136}714}715